回火稳定过程的首达时间及其在永久美式期权和障碍期权定价中的应用
First Passage Time for Tempered Stable Process and Its Application to Perpetual American Option and Barrier Option Pricing
摘要：
本文用鞅方法讨论Levy过程首达时间的特征函数的一个近似。通过显式或间接的数值方法给出了回火稳定过程首渡时间的特征函数。这将适用于永久美式期权定价和障碍期权定价。数值例子提供了校准参数使用市场看涨期权和看跌期权价格。
英文摘要：
In this paper, we will discuss an approximation of the characteristic function of the first passage time for a Levy process using the martingale approach. The characteristic function of the first passage time of the tempered stable process is provided explicitly or by an indirect numerical method. This will be applied to the perpetual American option pricing and the barrier option pricing. Numerical illustrations are provided for the calibrated parameters using the market call and put prices.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
